Heffling summed it up pretty well i believe, so ill add in a few more bits:
Fingerprints - They are a real pain to start with as the slightest one stands out from miles away.
You can either use a tool to smooth them out again, or you can wear very thin latex gloves when working with it. (i do this and have no problems)
Water - Its your new best friend.
Allways keep your fingers slightly wet so it stops it from sticking to them (which causes alot more problems than finger prints)
Also, make sure any toold you use are coated in water for the same result.
Tools - You can buy a sculpting set, but if your just trying your hand at it, i wouldnt bother just yet, i'd see how you get on with it.
To strt with, i'd simply use a small sharp blade (take one out of a hobby knife or the likes. I use a stanley blade)
This will help to no end with getting defined edges, or scratching detail into it.
A paintbrush will also help, but using the blunt end of it.
The rounded tip when used at a slight angle is good enough for smoothing out edges, but if you have something like a paint shaper, it works alot better.
Practice - Depending on what you plan on doing with it, your best bet is to grab an old 50mm - 60mm base.
simply apply a thin coat of
GS to it (about 2mm - 3mm) and use that as a canvas to get used to it.
Just play about with ideas and see how it goes before using it on a model.
Google is your friend - You will at some point need advice on creating different things with it, in which case, a quick google search (or searching dakka) will provide you with great info on this.
I think thats about it, and good luck